CCP 11-28-1994 - Laserfiche WebLink

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Portfolio Composition INSTITUTIONAL As .1 fJercem.lge o( ((Jtal ,IsseIS GOVERNMENT INCOME u.s. Agency .verse F!O<lfcrs II "\, I PORTFOLIO u,s. Agency Inverse lmerest-Onl~' H% U.S. Agenc~' October 31,1994 Z-bonds 6(~.i, u.s. Agency [merest-Only 5'% Institutional Government Income Portfolio's inuestmeHt o/Jjectil'(! is d Receivable for ~ high feuel of current income ecHIsistellt with !J/"cseIT,ltiO!l of (.lpit.rI. Securities Sold'" Il<.~o U.S. Agency Since early 1994, we have been modifying the composition of the Principal-Only 13";, Short-Term 16'}o portfolio as we have implememed a three-part straregy for the fund: u.s. Treasury 19";, I. Rebalance the po~tfolio with an emphasis on * Added to shoTt-term position of fund in early November sho~t-te~m U.S. Treasuries in an effort to reduce net asset value (NAV) volatility. Fund Performance The potenrial for further rate increases in the remainder of 1994 remains high, and our clients are clearly concerned ahom continued erosion to Fund performance calculations are through the fund's NA V. Therefore, we have taken the following steps to October 31, 1994, and reflect the reinpestment of all rebalance the portfolio, which have reduced the fund's volatility. We dividend and capital gains distributions. plan to continue tebalancing the fund through the middle of November One-Year Total Return in an attempt to further reduce volatility. .Does not reflect the fund's 1.5% sales charge. . We have increased the u.s. Treasury component of the fund. Bv early Institutional Government Income Porrfolio....,-lS.96% November, approximately 45% of portfolio holdings ($220 million) Merrill Lynch 3-5 Year Treasury Index.........-2.37% will be in cash and one- and two-year Treasury securities. Average Annual Total Returns . During most of the period since June, the Institutional Government Reflects the fund's 1.5% sales charge. Income Portfolio has heen a net seller of mortgage derivative One-Year .................__.................................-30.020/0 securities. As we have sold these securities, we have made adjustments Five- Year .......................................................4.02 ,:.~ in the composition of thar portion of the porrfolio, concentrated in Since Inception (7/11/88) ...............................5.21 % two areas: Weare selling securities that have long-term recovery porential in favor of securities that we believe are likely to recover in Fund Statistics a shorter time frame; and we are generally selling more principal-only securities (POs) and inverse floaters \vhile buying interest-only securities (lOs) and U.S. Treasury securities. Currently, 87% of the Net Assets $487 million securities in the porrfolio have a par value th~u is issued or gUJranteed Net Asset Value $7.67 at maruriry by the U.S. government or an agency of the U.S. Inception Date Julv 1988 government. These securities remain severely discounted with their Fiscal Year End September 30 average price at $73 for $100 of par value. This is down from 92%. primarily resulting from.our sale of POs and our slightly increased Ticker Symbol PJ1GX purchase of lOs, which ma~: have income earning capabilities and Initial Investment Fund closed to may act as a hedge against the PO component of the portfolio. new investors . Over the past sevetal momhs the sale-forward (dollar-roll) progtam Subsequent Investments $2.500 was reduced. In October. it was discontinued pending more favorahle 12-Month Distribution $1.18 market conditions. . (:I!11ti11lfed ()J1 I)ac/~ lug('